ui̇i̇i̇d Uluslararası İktisadi ve İdari İncelemeler Dergisi 1307-9832 1307-9859 Kenan ÇELİK 10.18092/ulikidince.534908 THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS AND CREDIT RATING ANNOUNCEMENTS: AN INVESTIGATION IN THE CONTEXT OF EMERGING COUNTRIES KREDİ TEMERRÜT SWAP SPREADLERİ VE KREDİ DERECELENDİRME DUYURULARI ARASINDAKİ İLİŞKİ: GELİŞMEKTE OLAN ÜLKELER KAPSAMINDA BİR ARAŞTIRMA https://orcid.org/0000-0003-3941-1512 Gök İbrahim Yaşar SÜLEYMAN DEMİREL ÜNİVERSİTESİ https://orcid.org/0000-0002-4757-1260 Arslan Zühal ısparta uygulamalı bilimler üniversitesi 07 24 2019 24 301 314 03 03 2019 05 31 2019 Copyright © 2008, Uluslararası İktisadi ve İdari İncelemeler Dergisi 2008 Uluslararası İktisadi ve İdari İncelemeler Dergisi

In thisstudy, the response of credit default swap (CDS) spreads to the credit ratingannouncements is explored in the context of some emerging countries includingTurkey, China, South Africa, Brazil and Russia. By applying an event studyanalysis and using data for credit rating announcements of Moody’s, Fitch andS&P and daily 5-year CDS spreads for the period June 01, 2009, to May 31,2018, it is found that positive credit rating events significantly decrease CDSspreads, whereas it is vice versa for negative credit rating events. While negativeevents have been anticipated by CDS markets, it is not the case for positiveevents. Moreover, after negative credit rating announcements, CDS spreads startto decrease significantly. However, it is not found any significant change in CDSspreads following the positive events. In general, it is concluded that creditrating events convey valuable information to CDS markets especially around theannouncement date, and it is identified that both negative and positive creditrating events are important determinants of CDS spreads.

Bu çalışmada, kredi temerrüt swap (CDS)spreadlerinin kredi derecelendirme duyurularına tepkisi, aralarında Türkiye,Çin, Güney Afrika, Brezilya ve Rusya’nın yer aldığı bazı gelişmekte olanülkeler kapsamında araştırılmıştır. Olay çalışması analizi uygulanarak ve 1Haziran 2009 - 31 Mayıs 2018 dönemi için Moody’s, Fitch ve S&P’nin krediderecelendirme duyuruları ile 5-yıllık CDS spreadlerinin günlük verilerikullanılarak, pozitif kredi derecelendirme olaylarının CDS spreadlerini anlamlıbir şekilde azalttığı, negatif kredi derecelendirme olaylarının ise tam tersibir etkiyi doğurduğu bulunmuştur. Negatif olaylar CDS piyasaları tarafındanöngörülebilirken, bu durum pozitif olaylar için doğrulanamamıştır. Üstelik, CDSspreadleri negatif kredi derecelendirme duyuruları sonrasında anlamlı birşekilde düşmeye başlamaktadır. Bununla birlikte, pozitif olayları takiben CDSspreadlerinde anlamlı bir değişiklik tespit edilmemiştir. Genel olarak, krediderecelendirme olaylarının özellikle duyuru tarihi etrafında CDS piyasalarıiçin önemli bir bilgisel içerik teşkil ettiği sonucuna ulaşılmış ve hem negatifhem de pozitif kredi derecelendirme olaylarının CDS spreadlerinin önemlibelirleyicileri olduğu açıklığa kavuşturulmuştur.

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